Fibromyalgia (FM) and Chronic Fatigue Syndrome (CFS) are two diseases that are frequently codiagnosed and present many similarities, such as poor tolerance to physical exercise. Although exercise is recommended in their daily routine to improve quality of life, little is known about how CFS codiagnosis affects that. Using scientifically validated questionnaires, we evaluated the psychological state and quality of life of patients with FM (n = 70) and how habitual physical exercise (HPE) reported by patients with only FM (FM-only n = 38) or codiagnosed with CFS (FM + CFS, n = 32) influences those aspects. An age-matched reference group of "healthy" women without FM (RG, n = 70) was used. The FM-only group presented a worse psychological state and quality of life compared to RG, with no influence of CFS codiagnosis. The patients of the FM-only and FM + CFS groups who perform HPE presented better levels of stress and state anxiety, but with no differences between them. Depression and trait anxiety improved only in women with just FM. CFS codiagnosis does not worsen the psychological and quality of life impairment of FM patients and does not have a great influence on the positive effect of HPE.